Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Year of publication: |
2022
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Authors: | Li, Yingying ; Liu, Guangying ; Zhang, Zhiyuan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 2, p. 422-451
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Subject: | Central limit theorem | High frequency data | Microstructure noise | Semimartingale | Volatility of volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | ARCH-Modell | ARCH model | Noise Trading | Noise trading | Börsenkurs | Share price | Martingal | Martingale |
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